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Korean Journal of Financial Studies 2013;42(5):789-812.
Published online December 31, 2013.
Performance Evaluation of Equity Funds Using Portfolio Holdings: Timing Ability and the Effect of Portfolio Rebalancing Frequency
Kwang Soo Ko, Ya Ping Wang, Mi Youn Paek
보유주식을 이용한 주식형 펀드의 성과 측정
고광수, 王亞平, 백미연
Abstract
This study extends Daniel, Grinblatt, Titman, and Wermers (1997, DGTW) by re-decomposing fund manager`s abilities and examining the effect of portfolio rebalancing frequency on the validity of performance evaluation model. Characteristic timing is re-decomposed into active and passive abilities, and style performance, into marketadjusted and market returns. Our extended DGTW model is applied to monthly and quarterly data of Korean equity funds for the period of November 2001 through May 2012. Our extended DGTW model shows both selection and timing abilities of fund managers when the rebalancing is done on a quarterly, semiannually, or annual basis, but their selection ability only, on a monthly basis. The model also shows that characteristic timing comes from passive ability, not from active ability.
Key Words: 소극적 타이밍 능력,시장초과 스타일 능력,적극적 타이밍 능력,포트폴리오 규모 정보의 일치성,포트폴리오 재구성 주기 효과,Active Timing Ability,Consistency of Portfolio Size,Effect of Portfolio Rebalancing Frequency,Excess Style Ability,Passive Timing Ability
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